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Buffer or substitute? Corporate financialization and leverage manipulation 缓冲还是替代？公司金融化和杠杆操纵
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-27 DOI: 10.1016/j.pacfin.2024.102508
Yinchao Liao , Jun Wang , Wenru Liao , Xiaoyang Shu , Zhiyong Li
{"title":"Buffer or substitute? Corporate financialization and leverage manipulation","authors":"Yinchao Liao ,&nbsp;Jun Wang ,&nbsp;Wenru Liao ,&nbsp;Xiaoyang Shu ,&nbsp;Zhiyong Li","doi":"10.1016/j.pacfin.2024.102508","DOIUrl":"10.1016/j.pacfin.2024.102508","url":null,"abstract":"<div><p>This study examines the impact of financialization on leverage manipulation for nonfinancial companies in China from 2011 to 2021. Using the XLT-LEVM measurement method, we find that corporate financialization can inhibit leverage manipulation. Mechanism analysis suggests that corporate financialization deters leverage manipulation by crowding out debt financing in a substantive way. According to heterogeneity analysis, the inhibitory effect is less pronounced in firms with short-term solvency pressure and intensive external attention. Our findings extend the literature on corporate financialization and demonstrate its role in mitigating leverage manipulation, with implications for both financial practice and public policy.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142122969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Product network and origin of common equity factor risks 普通股因素风险的产品网络和来源
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-26 DOI: 10.1016/j.pacfin.2024.102510
Yan Shi , Zili Zhang , Xuejun Zhao
{"title":"Product network and origin of common equity factor risks","authors":"Yan Shi ,&nbsp;Zili Zhang ,&nbsp;Xuejun Zhao","doi":"10.1016/j.pacfin.2024.102510","DOIUrl":"10.1016/j.pacfin.2024.102510","url":null,"abstract":"<div><p>This paper extends the multisector asset pricing model based on production networks, achieving direct pricing of a firm’s equity assets at a more microscopic level within the product network. An Equilibrium-Aligned PageRank (EA-PR) centrality algorithm is proposed, and it is theoretically proven that EA-PR centrality can reflect the relative value of products and further derive the value of firms. A new equity asset pricing factor is constructed based on the EA-PR centrality of firms. The key findings can be summarized as follows: Firstly, the EA-PR centrality of firms shows a significant positive linear predictability for equity returns, and the returns associated with the EA-PR centrality factor cannot be fully explained by the Fama–French 6 (FF6) factors. Secondly, the EA-PR centrality factor demonstrates significant explanatory power for the FF6 factors and, to some extent, exhibits predictive ability for future returns of the FF6 factors. Thirdly, the product network model can effectively reflect the market competitiveness and growth potential of firms, and firms with high EA-PR centrality have stronger value capture capabilities, improving gross profit margin, cash flow, and investment growth in the future. Finally, this study empirically demonstrates the consistency between the product network model and the pricing theory of the <span><math><msup><mrow><mi>q</mi></mrow><mrow><mn>5</mn></mrow></msup></math></span> model, which incorporates the expected growth factor.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142098105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Managerial macroeconomic perception and systemic risk in China 中国管理者的宏观经济观念与系统性风险
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-26 DOI: 10.1016/j.pacfin.2024.102505
Peng Guo , Fuwei Jiang , Mengru Li , Yumin Liu
{"title":"Managerial macroeconomic perception and systemic risk in China","authors":"Peng Guo ,&nbsp;Fuwei Jiang ,&nbsp;Mengru Li ,&nbsp;Yumin Liu","doi":"10.1016/j.pacfin.2024.102505","DOIUrl":"10.1016/j.pacfin.2024.102505","url":null,"abstract":"<div><p>This paper constructs a managerial macroeconomic perception index based on the textual financial disclosures and examines its impact on systemic risk in China. We reveal a significant positive relationship between managerial macroeconomic perception, particularly the forward-looking managerial macroeconomic perception, and bank systemic risk. Our study shows that managers with optimistic perception about macroeconomic conditions tend to engage in excessive risk-taking activities and increase the risk contagion among banks. Heterogeneous analyses suggest that the positive relationship between manager macroeconomic perception and systemic risk is more pronounced among banks that are non-state-owned, exclusively listed in A-shares, highly leveraged, or not considered systemically important. We also show that macroeconomic policy can mitigate the negative impact of managerial macroeconomic perception on systemic risk. These findings highlight the substantial role that managerial macroeconomic perception plays in shaping systemic risk within the banking sector.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142157944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A four-factor model based on factor momentum 基于因子动量的四因子模型
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-26 DOI: 10.1016/j.pacfin.2024.102511
Mengqi Cui , Daye Li
{"title":"A four-factor model based on factor momentum","authors":"Mengqi Cui ,&nbsp;Daye Li","doi":"10.1016/j.pacfin.2024.102511","DOIUrl":"10.1016/j.pacfin.2024.102511","url":null,"abstract":"<div><p>By focusing on the momentum effect in China, we introduce a novel four-factor model grounded by factor momentum. We address this by progressively exploring three key questions. Firstly, we identify a significant momentum premium. In contrast to the US, where momentum forms over a period of 2–12 months, the formation period for momentum in China spans 7–12 months. Moreover, among various momentum factors, factor momentum stands out as the most significant, effectively explaining stock momentum, industry momentum, and regional momentum, whereas the reverse is not true. Secondly, we find that there exists a notable orthogonality between factor momentum and non-momentum factors in China, implying that factor momentum can hardly be explained by non-factor momentum, and vice versa. Thirdly, leveraging this orthogonality, we establish a four-factor model. Expanding upon the MKT and SMB factors, the model additionally includes a mispricing factor and a momentum factor. GRS tests demonstrate that this model outperforms traditional Fama-French three-factor model, Carhart four-factor model, Q-4 factor model, and the three-factor model proposed by Liu et al. (2019).</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142097998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The conjoint effects of corporate social responsibility performance and report tone on financial constraints: Evidence from China 企业社会责任绩效和报告基调对财务约束的联合效应：来自中国的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-25 DOI: 10.1016/j.pacfin.2024.102506
Chuanlu Ge , Hengsen Cheng , Qingrun Niu , Miao Yang
{"title":"The conjoint effects of corporate social responsibility performance and report tone on financial constraints: Evidence from China","authors":"Chuanlu Ge ,&nbsp;Hengsen Cheng ,&nbsp;Qingrun Niu ,&nbsp;Miao Yang","doi":"10.1016/j.pacfin.2024.102506","DOIUrl":"10.1016/j.pacfin.2024.102506","url":null,"abstract":"<div><p>Using corporate social responsibility (CSR) disclosure data from Chinese A-share listed firms between 2008 and 2022, we examine the conjoint impact of CSR performance and the tone of CSR reports on financial constraints. The research reveals a significant negative correlation between CSR performance and financial constraints, indicating that the better a firm's CSR performance, the fewer financial constraints it faces. The tone of CSR reports is also negatively correlated with financial constraints. It has a synergy effect with CSR performance, enhancing the alleviating effect of CSR performance on financial constraints. After conducting a series of robustness tests, such as addressing endogeneity and substituting variables, the main results remain robust. Furthermore, relative importance analysis shows that the impact of CSR performance on financial constraints is significantly greater than the impact of the tone of CSR reports. In additional analysis, we also examine the effects of corporate disclosure of creditor protection information, the presence of deficiencies in information, and firm transparency. Against the backdrop of heightened economic volatility and escalating risks, our findings offer valuable guidance on how firms can strategically utilize social responsibility measures to mitigate financial constraints.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142122618","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Public's evaluation of ESG and credit default swap: Evidence from East Asian countries 公众对环境、社会和公司治理以及信用违约掉期的评价：东亚国家的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-25 DOI: 10.1016/j.pacfin.2024.102512
Ning Tang , Hao-Wen Chang , Chih-Yung Lin , Chien-Lin Lu
{"title":"Public's evaluation of ESG and credit default swap: Evidence from East Asian countries","authors":"Ning Tang ,&nbsp;Hao-Wen Chang ,&nbsp;Chih-Yung Lin ,&nbsp;Chien-Lin Lu","doi":"10.1016/j.pacfin.2024.102512","DOIUrl":"10.1016/j.pacfin.2024.102512","url":null,"abstract":"<div><p>We investigate whether investors' sentiment on environmental, social, and governance (ESG) factors negatively affects a firm's spread for credit default swaps (CDS) in East Asian countries. We use the Kyoto Protocol as an exogenous shock to public sentiment on ESG and observe that it strengthens the negative influence of that sentiment on CDS spreads. Furthermore, we find consistent results on the discrepancy in CDS spreads between firms and their respective countries, as well as the term structure of the spreads. Our findings demonstrate that the public's perception of ESG can reduce investors' concerns about firms' credit risk.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142128935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An introduction to frontier on corporate finance and capital market development in China 中国企业融资与资本市场发展前沿介绍
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-23 DOI: 10.1016/j.pacfin.2024.102504
Xiaofeng Quan , Kelvin Jui Keng Tan , Donghui Li
{"title":"An introduction to frontier on corporate finance and capital market development in China","authors":"Xiaofeng Quan ,&nbsp;Kelvin Jui Keng Tan ,&nbsp;Donghui Li","doi":"10.1016/j.pacfin.2024.102504","DOIUrl":"10.1016/j.pacfin.2024.102504","url":null,"abstract":"<div><p>This article reviews recent studies on the evolution of corporate finance and governance in China, driven by market and institutional development and reforms. It introduces the special issue “Frontier on Corporate Finance and Capital Market Development in China” for the Pacific-Basin Finance Journal (PBFJ), focusing on strategic transition toward digitalization and innovation. The discussed articles primarily explore the impacts of digital transformation and green innovation activities in Chinese firms, alongside the influence of formal institutional reforms and informal cultural and social norms on firm behavior, capital market functioning, and information dissemination in China. The article also calls for further research on China's registration-based IPO reform, financial liberalization policies, and the corporate efforts of Chinese firms toward greenness and sustainability.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142228811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Motives for environmental and social engagement and stock liquidity: The moderating role of sustainability committees 环境和社会参与动机与股票流动性：可持续发展委员会的调节作用
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-23 DOI: 10.1016/j.pacfin.2024.102501
Phuc Minh Nguyen , Christine Jubb , Roshanthi Dias
{"title":"Motives for environmental and social engagement and stock liquidity: The moderating role of sustainability committees","authors":"Phuc Minh Nguyen ,&nbsp;Christine Jubb ,&nbsp;Roshanthi Dias","doi":"10.1016/j.pacfin.2024.102501","DOIUrl":"10.1016/j.pacfin.2024.102501","url":null,"abstract":"<div><p>While stock liquidity has long been a vital consideration in stock markets, environmental, social and governance (ESG) performance has become a growing consideration due to its numerous benefits to companies and society. However, there is limited research on whether corporate motivations to engage in ESG activities affect stock liquidity. We examine this relationship in the context of the Australian Securities Exchange (ASX) by studying the role of three motivations (strategic, altruism, or greenwashing) for company engagement in ESG activities in explaining stock liquidity. We also examine the role of sustainability committees in explaining stock liquidity. Using companies included in the S&amp;P ASX 300 from 2009 to 2018, a positive association is found between stock liquidity and a strategic motivation for environmental and social engagement and sustainability committee presence. An unexpected finding is that sustainability committee formation can mislead investors to reward a greenwashing motivation by improving stock liquidity. These findings provide valuable new insights into motives to engage particularly with the “E” and “S” in ESG and sustainability committees' role in improving stock liquidity.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0927538X24002531/pdfft?md5=0caa0709befa47fdfaf4a5d6684d7b50&pid=1-s2.0-S0927538X24002531-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142097996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Determinants of disposition effect in the real estate market: Evidence from Taiwan 房地产市场处置效应的决定因素：来自台湾的证据
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-23 DOI: 10.1016/j.pacfin.2024.102503
Ching-Hsiang Chao , Chuang-Chang Chang , Tsung-Yu Chen , Zhen-Xing Wu
{"title":"Determinants of disposition effect in the real estate market: Evidence from Taiwan","authors":"Ching-Hsiang Chao ,&nbsp;Chuang-Chang Chang ,&nbsp;Tsung-Yu Chen ,&nbsp;Zhen-Xing Wu","doi":"10.1016/j.pacfin.2024.102503","DOIUrl":"10.1016/j.pacfin.2024.102503","url":null,"abstract":"<div><p>This paper examines the disposition effect and its determinants in the Taiwanese real estate market. Our empirical results show that while a disposition effect does exist, its effects decayed after 2012. Further analyses employing quantile regression on the holding period reveal that the disposition effect persists even after investors retain assets for extended durations. Our findings also indicate that investors maintain a propensity to sell wining assets and hold losing assets even when confronted with extreme returns. Thus, we conclude that disposition effect in the real estate market could be best explained by prospect theory. Most importantly, we demonstrate that changes in the disposition effect are attributed to an enhanced information environment involving, for example, economic events, policy changes, and market conditions associated with information transparency. These findings suggest that information environment and trading volume are pivotal factors influencing households' behavioral biases.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142137417","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Increase or decrease: Customer digital transformation and supplier cost stickiness 增加或减少：客户数字化转型与供应商成本粘性
IF 4.8 2区 经济学
Pacific-Basin Finance Journal Pub Date : 2024-08-22 DOI: 10.1016/j.pacfin.2024.102507
Mengzhe Li , Siyuan Guo , Xizi Wang , Yingqi Liu
{"title":"Increase or decrease: Customer digital transformation and supplier cost stickiness","authors":"Mengzhe Li ,&nbsp;Siyuan Guo ,&nbsp;Xizi Wang ,&nbsp;Yingqi Liu","doi":"10.1016/j.pacfin.2024.102507","DOIUrl":"10.1016/j.pacfin.2024.102507","url":null,"abstract":"<div><p>Customer digital transformation plays a crucial role in shaping supply chain management, particularly affecting the cost stickiness of supplier firms. By analyzing textual data from the top five customers of Chinese listed firms, this study investigates the impact of customer digital transformation on supplier cost stickiness. The findings demonstrate that the spillover effects of customer digital transformation substantially decrease supplier cost stickiness. This decrease is due to decreased adjustment costs, alleviated agency problems, and mitigated management optimism. Additionally, cross-sectional analysis reveals that these effects are more pronounced in suppliers with greater geographic distances from their customers, those within less competitive industries, and those audited by Non-Big Eight accounting firms. This research provides valuable insights for digital initiatives, supply chain management, and cost-related decision-making processes.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142075818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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